Variational principles for average exit time moments for diffusions in euclidean space

摘要

Let D be a smoothly bounded domain in Euclidean space and let X_t be a diffusion in Euclidean space. For a class of diffusions, we develop variational principles which characterize the average of the moments of the exit time from D of a particle driven by X_t, where the average is taken over all starting points in D.